Trend-Following Backtester · Guide · backtest 한국어
equity · CN
Shenzhen Salubris Pharmaceuticals Co., Ltd. Class A backtest
10 trend-following strategies were compared on the full daily history of Shenzhen Salubris Pharmaceuticals Co., Ltd. Class A. 2 beat buy-and-hold CAGR; 볼린저 밴드 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is 볼린저 밴드 돌파 (CAGR 8.9%, MDD -23.3%).
Results by strategy
2 of 10 beat buy and hold (CAGR 9.5%, drawdown -63.5%).
Sharpe leader (same as main): 볼린저 밴드 돌파 — CAGR 8.9%, MDD -23.3%, Sharpe 0.56, 14% exposure.
CAGR reference leader: Supertrend — CAGR 11.0%, MDD -53.8%, exposure 62%.
Return/drawdown alternative: 볼린저 밴드 돌파 — CAGR is 0.6%p lower than buy and hold, while drawdown improves by 40.3%p (CAGR 8.9%, MDD -23.3%, exposure 14%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| 볼린저 밴드 돌파 n=53, k=3.2 |
8.9% | -23.3% | 0.56 | 0.38 | 4.2x | 20 | 14% |
| Supertrend period=8, mult=4.5 |
11.0% | -53.8% | 0.50 | 0.20 | 5.8x | 47 | 62% |
| Keltner 채널 돌파 emaPeriod=54, atrPeriod=26, mult=2.8 |
8.9% | -34.0% | 0.49 | 0.26 | 4.2x | 52 | 27% |
| MACD fast=17, slow=48, signal=30 |
9.7% | -57.4% | 0.48 | 0.17 | 4.8x | 135 | 51% |
| SMA 크로스오버 fast=20, slow=65 |
8.0% | -61.0% | 0.42 | 0.13 | 3.7x | 64 | 50% |
| ADX / DI 방향성 period=35, threshold=18 |
6.6% | -40.8% | 0.40 | 0.16 | 2.9x | 44 | 24% |
| Donchian 채널 돌파 entryN=19, exitN=25 |
7.7% | -56.7% | 0.40 | 0.14 | 3.5x | 81 | 54% |
| EMA 크로스오버 fast=23, slow=39 |
6.1% | -62.4% | 0.36 | 0.10 | 2.7x | 76 | 51% |
| ROC 모멘텀 n=144, threshold=0.01 |
5.7% | -52.7% | 0.34 | 0.11 | 2.5x | 118 | 52% |
| Parabolic SAR step=0.015, maxStep=0.16 |
-3.4% | -73.7% | 0.02 | -0.05 | 0.6x | 292 | 51% |
| Buy and hold | 9.5% | -63.5% | 0.43 | 0.15 | 4.6x | 1 | 100% |
Rules of the top strategy
Breaking above the upper band (average plus a multiple of volatility) signals a strong move up.
- Buy — Buy when the close breaks above the upper band of the 53-day average (3.2× volatility)
- Sell — Sell when the close falls back to the 53-day middle average